scholarly journals Linear Vector Optimization and European Option Pricing Under Proportional Transaction Costs

2015 ◽  
pp. 159-176 ◽  
Author(s):  
Alet Roux ◽  
Tomasz Zastawniak
Keyword(s):  
Option Pricing ◽  
Transaction Costs ◽  
Vector Optimization ◽  
European Option ◽  
Proportional Transaction Costs ◽  
Linear Vector ◽  
European Option Pricing ◽  
Linear Vector Optimization

scholarly journals European option pricing with transaction costs and stochastic volatility: an asymptotic analysis

2014 ◽  
Vol 80 (4) ◽  
pp. 981-1008 ◽  
Author(s):  
R. E. Caflisch ◽  
G. Gambino ◽  
M. Sammartino ◽  
C. Sgarra
Keyword(s):  
Asymptotic Analysis ◽  
Option Pricing ◽  
Transaction Costs ◽  
Stochastic Volatility ◽  
European Option ◽  
European Option Pricing

European Option Pricing with Transaction Costs

1993 ◽  
Vol 31 (2) ◽  
pp. 470-493 ◽  
Author(s):  
Mark H. A. Davis ◽  
Vassilios G. Panas ◽  
Thaleia Zariphopoulou
Keyword(s):  
Option Pricing ◽  
Transaction Costs ◽  
European Option ◽  
European Option Pricing

scholarly journals AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS

2014 ◽  
Vol 17 (02) ◽  
pp. 1450012 ◽  
Author(s):  
ANDREAS LÖHNE ◽  
BIRGIT RUDLOFF
Keyword(s):  
Transaction Costs ◽  
Vector Optimization ◽  
Optimization Problems ◽  
Market Model ◽  
Vector Optimization Problems ◽  
Explicit Calculation ◽  
Event Tree ◽  
Basket Options ◽  
Linear Vector ◽  
Linear Vector Optimization

We study the explicit calculation of the set of superhedging portfolios of contingent claims in a discrete-time market model for d assets with proportional transaction costs. The set of superhedging portfolios can be obtained by a recursive construction involving set operations, going backward in the event tree. We reformulate the problem as a sequence of linear vector optimization problems and solve it by adapting known algorithms. The corresponding superhedging strategy can be obtained going forward in the tree. Examples are given involving multiple correlated assets and basket options. Furthermore, we relate existing algorithms for the calculation of the scalar superhedging price to the set-valued algorithm by a recent duality theory for vector optimization problems. The main contribution of the paper is to establish the connection to linear vector optimization, which allows to solve numerically multi-asset superhedging problems under transaction costs.

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